(2011-S2) - FINS3616 - Tutorial Slides - Week 12 (presentation week. Qs only)

# (2011-S2) - FINS3616 - Tutorial Slides - Week 12 (presentation week. Qs only)

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TERNATIONAL BUSINESS FINANCE INTERNATIONAL BUSINESS FINANCE FINS3616 torial Tutorial Week 12 Chapter 20 + 21

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CHAPTER 20 — PROBLEM 1 Based on the historical returns in Figure 20.2, calculate the mean and standard deviation of return in dollars for an equally weighted portfolio of French and German stocks. Calculate the Sharpe index for this portfolio using the historical mean on U.S. T-bills as the risk-free rate. 2 FINS3616 — Peter Kjeld Andersen
CHAPTER 20 — PROBLEM 3 The MSCI world stock market index in Figure 20.2 had a mean annual return of 11.3% and a standard deviation of 17%. Meanwhile, dollar returns to a globally diversified bond portfolio had a mean of 8.4 and a standard deviation of 10.8%. The correlation between these two indices was 0.360. Calculate the mean and standard deviation of an equally weighted portfolio of global stocks and bonds. Also, calculate the Sharpe index for this stock-bond portfolio using the historical 6.8% U.S. T-bill rate. 3 FINS3616 — Peter Kjeld Andersen

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CHAPTER 20 — PROBLEM 5 Suppose expected returns in the U.S. and Germany are 10% and 20% respectively. Standard deviations are also 10% and 20% respectively. Calculate the standard deviation of an equally weighted combination of the two assets under the following four cases: I. Perfect positive correlation erfect negative correlation II. Perfect negative correlation III. Zero correlation IV. A correlation of 0.3 4 FINS3616 — Peter Kjeld Andersen
CHAPTER 20 — PROBLEM 7

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## This note was uploaded on 02/23/2012 for the course FINS 111 taught by Professor A during the Spring '12 term at Canada College.

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(2011-S2) - FINS3616 - Tutorial Slides - Week 12 (presentation week. Qs only)

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